While he doesn't actively endorse either candidate, it's pretty clear who he thinks will be better for the stock markets. Here's an excerpt from BusinessWeek.com (emphasis ours):

I’ve hero-worshipped the presidential cycle. Going back to 1932, if you take the first and second year together, they’ve had no real return in the market. All of the return has been compressed into a gigantic Year Three and a respectable Year Four. For us, the cycle years start on October 1st. So now we’re in the dreaded first year. And we have Republicans threatening to add fiscal constraints into a very fragile economy. We have the European situation. We have China stumbling in an incredible slow-motion style. I think it’s a really good year to keep your head down.

So Mitt Romney would reduce corporate profits?Profit margins are abnormal. Anyone can see that, given the weak economy. Paying down the debt will allow them to become more normal. In the old days, the International Papers (IP) of the world would break our hearts because just as they were getting decent margins, they’d build another plant. We’d say, “Why the hell are you doing that?” And they’d say, “Oh, it’s market share. We’re going to crush everybody.” It wasn’t great for profits, but it was magnificent for employment and the economy. Now they say, “Oh, I’m not going to build a new plant. We’re going to build up a war chest, buy our stock back because that’s highly correlated with my personal rewards: push up the shares, and hit my bonus.” The bonus culture has changed the flavor of how we do business.

What if Obama is elected?History speaks pretty clearly that the markets do better with Democrats. Republicans’ ideas of what constitutes fiscal responsibility simply are not good for the stock market. Democrats have many tendencies, but one of them is to look after the workers, and actually that tends to be good for demand and good for markets. These capitalists who are desperate to elect Republicans should study their history books.

There you have it. Grantham thinks Republicans are bad and Democrats are good for the stock market.